Exponential families of stochastic processes

  • 作者: Küchler, Uwe.
  • 其他作者: Sørensen, Michael.
  • 出版: New York : Springer ©1997.
  • 稽核項: 1 online resource (x, 322 pages).
  • 叢書名: Springer series in statistics
  • 標題: Familles exponentielles (Statistique) , Probability & StatisticsGeneral. , Stochastic Processes , Stochastische processen. , Andre fag (naturvidenskab og teknik) Andre fag , Processus stochastiques. , MATHEMATICS Probability & Statistics -- General. , Stochastic processes. , Analyse stochastique. , Exponential families (Statistics) , Electronic books. , MATHEMATICS , Fonctions exponentielles (Statistique)
  • ISBN: 0387227652 , 9780387227658
  • ISBN: 9780387949819 , 038794981X
  • 試查全文@TNUA:
  • 附註: Includes bibliographical references (pages 303-316) and index. Natural Exponential Families of Léevy Processes -- Definitions and Examples -- First Properties -- Random Time Transformations -- Exponential Families of Markov Processes -- The Envelope Families -- Likelihood Theory -- Linear Stochastic Differential Equations with Time Delay -- Sequential Methods -- The Semimartingale Approach -- Alternative Definitions.
  • 摘要: This is author-approved bcc: This book provides a comprehensive account of the statistical theory of exponential families of stochastic processes. The book reviews the progress in the field made over the last ten years or so by the authors, two of the leading experts in the field, and several other researchers. The theory is applied to a broad spectrum of examples. A large number of frequently applied stochastic process models with discrete as well as with continuous time are covered by the theory developed in the book. The exponential families of stochastic processes are the most tractable type of statistical models for stochastic processes. On the other hand, they include models that are complex enough to exhibit basic inference problems that are peculiar to stochastic process models. Therefore they are a good starting point for the statistican who plans to work in this interesting and vigorous field. To make the reading easier for statisticians with only a basic background in the theory of stochastic process, the first part of the book is based on classical theory of stochastic processes only, while stochastic calculus is used late in the book. Most of the concepts and tools from stochastic calculus that a statistician is likely to need, when working with inference for stochastic processes, are introduced and explained without proof in an appendix. The appendix can also be used independently as an introduction to stochastic calculus for statisticians. The statistical concepts are explained carefully so that probabilists with only a basic background in statistics can use the book to get into statistical inference for stochastic processes. Exercises are included to make the book useful for an advanced.
  • 電子資源: https://dbs.tnua.edu.tw/login?url=https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=104519
  • 系統號: 005322403
  • 資料類型: 電子書
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